Is Crystal Reports supported by the MysqlDirect .Net provider? Maybe I miss something but I didn't find how to use the report designer with mysqldirect components?
could someone point me out some documentation or clues ?

There is an example called 'Crystal' in demo projects which are distributed with installation package. It demonstrates common practices of using MySqlDirect .NET data provider with Crystal Reports components.

It is true, the only way to work with Crystal Reports is using .xsd schema. You can generate it with dataset.WriteXMLSchema() method or in design-time using 'Generate DataSet' verb of DataAdapter component.

I'm considering trying XtraReports (www.devxpress.com) which appears to support .NET data binding more directly (both at design and run time)--though I'm having trouble testing it because of the oldValue design time bug right now... hopefully this new release (3.0) will solve that problem.